我院讲师Jeffrey Chu在《Physica A: Statistical Mechanics and its Applications》发表论文。该研究使用分位数对分位数回归研究了比特币和高性能科技股相对于全球股票市场的潜在多元化特性。该研究对这两种关系在不同市场下的不同分位数进行了分析，并表明，比特币与高性能科技股相比，在针对全球股市的多元化特性方面表现出显著差异。这进一步支持了将比特币视为投资资产而非技术手段的观点。
论文题目
Bitcoin versus high-performance technology stocks in diversifying against global stock market indices
文章摘要
This paper investigates Bitcoin in finance but from the perspective of technology. Through comparing the relationship between the returns of Bitcoin (in terms of the US Dollar, Korean Won, and Euro) and high-performance technology stocks, with a range of global stock markets, we investigate whether there is any evidence of potential hedging and diversification properties and whether these are conditional on the states of the respective markets. We implement a quantile-on-quantile regression method to examine the relationship between both Bitcoin returns and technology stock returns, and stock market returns at varying quantiles. Our results show that although Bitcoin and high-performance technology stocks arguably share many similarities, it is clear that Bitcoin exhibits significant differences compared with high-performance technology stocks in terms of the diversification properties against global stock markets. With respect to the US stock markets, Bitcoin appears to be a consistent hedge when it is in a bullish state, however, there is some divergence in the relationships in relation to the European and Asian stock markets. In particular, Bitcoin (in terms of the Korean Won) may act as a safe haven against Asian stock markets when both are in a bearish state, although there does not appear to be strong and consistent evidence of this safe haven property across all Bitcoin returns and stock markets. From a financial perspective, this may suggest that individuals do not see and treat Bitcoin as a technology (or a technology company), but rather further supports the view of Bitcoin as a potential investment for financial gain (given its diversification properties).
作者介绍
Jeffrey Chu，中国人民大学统计学院讲师，英国曼彻斯特大学数学学院博士，曾先后在英国曼彻斯特大学，马德里卡洛斯三世大学作为博士后和讲师承担教学、科研工作。研究方向围绕统计分布理论，统计学在区块链和加密货币的应用。研究论文发表于Journal of Computational and Applied Mathematics，Computational Statistics & Data Analysis等国际高水平期刊上。主持并参与了沙迦美国大学智慧城市研究项目等多个课题。
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